In this paper, we develop a general method for heterogeneous variable selection in Bayesian nonlinear panel data models …. Heterogeneous variable selection refers to the possibility that subsets of units are unaffected by certain variables. It may be …'s unit-specific parameters: each unit-specific parameter is either equal to zero (heterogeneous variable selection) or comes …

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability … variable selection. It is clear that, in the absence of breaks, researchers should weigh the observations equally at both … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …

), we employ stochastic search variable selection (SSVS) to sort through all 234 possible models. Looking across both cross …

matching, we contrast ad hoc variable selection based on the available literature with a data-driven variable selection method … subgroup-specific and may not generalize to the overall population. Methodologically, we find that data-driven variable … selection identifies a refined set of covariates and changes the magnitude of the estimation results substantially. It may thus …